USB Flash Drive - FAT or NTFS?

I got a new Cruzer flash drive and it is using the FAT file system. What the shit, shouldn't it be using NTFS?

Format it to whatever file system you want, but if the flash drive is less than 4 gigs (file size limit for fat32) then just keep it as fat because it will be more compatible that way. If you have something much larger such as a USB external hard drive then it might be better to format it to NTFS (if you are only going to use it only on windows) or ext3 (if you are going to use it only on linux).